"Jimmy" is Jim Hoskinson, the director of The Colbert Report. Stephen often asks Jimmy to put a graphic on the screen or show a video in the midst of an episode.
On March 17, 2006, Stephen gave Jimmy an on-air performance review (along with Bobby and Killer). Jimmy appeared on air for the review. Cameras, directed by Jimmy, filmed him while he directed the show from the control booth.
On air, however, "Jimmy" is played by Peter Gwinn.